INVESTOR ATTENTION AND HERDING IN THE CRYPTOCURRENCY MARKET DURING THE COVID-19 PANDEMIC

  • Hajam Abid Bashir Indian Institute of Management Kashipur
  • Dilip Kumar Indian Institute of Management Kashipur
  • K Shiljas Indian Institute of Management Kashipur

Abstract

This study examines the relationship between investor attention and herding effects in the cryptocurrency market by employing the vector autoregression and quantile regression models. Furthermore, we examine whether the COVID-19 pandemic affected herding behaviour in cryptocurrencies. Using the daily closing price and Google search volume of the five leading cryptocurrencies, the paper finds that herding in the cryptocurrency market decreases with an increase in investor attention for the overall sample. The results for the COVID-19 period indicate that the impact of investor attention on the herding effect decreases due to increased attention to the pandemic. This study is one of the initial attempts to examine the impact of investor attention on herding in cryptocurrencies.

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Author Biographies

Dilip Kumar, Indian Institute of Management Kashipur

Associate Professor- Finance and Accounting

Indian Institute of Management Kashipur

Uttrakhand-244713, India

K Shiljas, Indian Institute of Management Kashipur

Doctoral candidate- Finance and Accounting

Indian Institute of Management Kashipur

Uttrakhand-244713, India

Published
2021-09-02
How to Cite
Bashir, H. A., Kumar, D., & K Shiljas. (2021). INVESTOR ATTENTION AND HERDING IN THE CRYPTOCURRENCY MARKET DURING THE COVID-19 PANDEMIC. Applied Finance Letters, 10, 67-77. https://doi.org/10.24135/afl.v10i.448
Section
Articles submitted to regular issue